DERIVATIVE INSTRUMENTS (TABLES)

9 Months Ended

Sep. 30, 2011

LOCATION AND AMOUNTS OF DERIVATIVE FAIR VALUES ON THE CONSOLIDATED BALANCE SHEET


		September 30, 2011						December 31, 2010
			Derivative Notional Amount		Asset Derivative Fair Value⁽¹⁾		Liability Derivative Fair Value⁽¹⁾		Derivative Notional Amount		Asset Derivative Fair Value⁽¹⁾		Liability Derivative Fair Value⁽¹⁾

	Fair value hedges

	Foreign exchange contracts	$	522,480	$	8,512	$	-	$	612,845	$	-	$	13,748

	Derivatives not designated as hedges
	Relating to investment portfolio:
	Foreign exchange contracts		279,910		10,590		338		154,990		2,182		746

	Relating to underwriting portfolio:
	Currency collar options		15,312		351		-		-		-		-
	Foreign exchange contracts	$	858,271		20,710		11,109	$	110,564		4,459		492

	Total derivatives			$	40,163	$	11,447			$	6,641	$	14,986

(1) Asset and liability derivatives are classified within other assets and other liabilities on the Consolidated Balance Sheets.

NET EARNINGS IMPACT OF FAIR VALUE HEDGES


	Three months ended				Nine months ended
	September 30,				September 30,
		2011		2010		2011		2010

Foreign exchange contracts	$	39,179	$	(66,760)	$	(5,997)	$	25,463
Hedged investment portfolio		(43,920)		63,845		1,467		(20,861)
Hedge ineffectiveness recognized in earnings	$	(4,741)	$	(2,915)	$	(4,530)	$	4,602

TOTAL UNREALIZED AND REALIZED GAINS (LOSSES) ON DERIVATIVES NOT DESIGNATED AS HEDGES RECORDED IN EARNINGS

The total unrealized and realized gains (losses) recognized in earnings for derivatives not designated as hedges were as follows:

				Three months ended				Nine months ended
		Location of Gain (Loss) Recognized		September 30,				September 30,
		in Income on Derivative		2011		2010		2011		2010

	Derivatives not designated as hedges
	Relating to investment portfolio:
	Foreign exchange contracts	Net realized investment gains (losses)	$	18,825	$	(6,333)	$	5,364	$	(3,503)

	Relating to underwriting portfolio:
	Currency collar options	Foreign exchange gains (losses)		(2,975)		-		352		-
	Foreign exchange contracts	Foreign exchange gains (losses)		(2,759)		(2,711)		18,842		4,705

	Total		$	13,091	$	(9,044)	$	24,558	$	1,202

- Definition

Tabular disclosure of the location and amount of gains and losses reported in the statement of financial performance, or when applicable, the statement of financial position. For example, (a) gains and losses recognized in the income statement on derivative instruments designated and qualifying as hedging instruments in fair value hedges and related hedged items designated and qualifying in fair value hedges and (b) gains and losses initially recognized in other comprehensive income on derivative instruments designated and qualifying as cash flow hedges.

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